What to do when I get the message "subsurf modifier need to be first to work with unwrap"?
That message tells you that while unwrapping you enabled option Use Subsurf Modifier. It lets you avoid applying Subsurf modifier if you have it in the stack while having vertices in the UV map moved as if the modifier was applied.
Note: it doesn't mean all the geometry which will be added with Subsurf will appear on the map with this option; it only allows existing vertices to be moved as close to "subsurfed" positions as possible.

However in order this to work as expected Subsurf modifier has to be the first in the stack, otherwise this message will pop up everytime you unwrap the mesh with that option enabled.
If you unwrapped once and accidentally enabled the option these settings will be saved and then every time you unwrap you will see the mentioned message if Subsurf isn't present. Just disable it if not needed.